A parsimonious parametric model for generating margin requirements for futures

DOI10.1016/j.ejor.2018.08.006zbMath1403.91378OpenAlexW2888069996WikidataQ129359339 ScholiaQ129359339MaRDI QIDQ1991253

Anannit Sumawong, Carol Alexander, Andreas Kaeck

Publication date: 30 October 2018

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: http://sro.sussex.ac.uk/id/eprint/77556/1/texsubmissionSRO.pdf

zbMATH Keywords

financebacktestingmargin rulesmedian tail lossWTI crude oil

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites Work

• Making and Evaluating Point Forecasts
• The Model Confidence Set
• Fat tails, VaR and subadditivity
• The behavior of extreme values in Germany's stock index futures: An application to intradaily margin setting
• Bayesian value-at-risk and expected shortfall forecasting via the asymmetric Laplace distribution
• Forecasting the volatility of crude oil futures using intraday data
• ARCH models as diffusion approximations
• COHERENCE AND ELICITABILITY
• Estimation methods for expected shortfall
• Comparing Density Forecasts Using Threshold- and Quantile-Weighted Scoring Rules
• Prudent Margin Levels in the Finnish Stock Index Futures Market
• External Risk Measures and Basel Accords
• Extreme Value Theory as a Risk Management Tool

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